بررسی سودمندی افزاینده پایداری تفاضلی اجزای سود مختص شرکت بر بازده مازاد غیرعادی

هدف:هدف از این پژوهش، بررسی سودمندی افزاینده پایداری تفاضلی اجزای سود مختص شرکت بر بازده مازاد غیرعادی است. بدین منظور یک راهبرد معاملاتی مبتنی بر برآوردهای پایداری تفاضلی اجزای سود مختص شرکت ارائه شده است که تاثیر آن بر ایجاد بازده‌های مازاد غیرعادی در حالت وجود و یا عدم وجود شرکت‌های زیان‌ده مورد بررسی قرار گرفته است. روش:به‌منظور آزمون فرضیه‌ها، داده‌های 143 شرکت از شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران طی قلمرو زمانی 1380 تا 1397 به روش حذف سیستماتیک انتخاب شدند. جهت تجزیه و تحلیل اطلاعات و آزمون فرضیه‌ها از مدل چهار عاملی کارهارت (1997)و داده‌های سری زمانی استفاده شده است. یافته‌ها:یافته‌ها حاکی از آن است که پایداری تفاضلی اجزای سود مختص شرکت، منجر به ایجاد بازده‌های مازاد غیرعادی می‌گردد که در حالت عدم وجود شرکت‌های زیان‌ده افزایش می‌یابد. نتیجه‌گیری: نتایج پژوهش نشان می‌دهد که سرمایه‌گذاران با در نظر گرفتن محتوای اطلاعاتی اجزای سود در ارزشیابی اوراق بهادار، قادر به کسب بازده مازاد غیرعادی هستند.

Investigating the Incremental Usefulness of FirmSpecific Differential Persistence of Earnings Components on Abnormal Excess Returns

Objective: The purpose of this study is to examine the incremental usefulness of firmspecific differential persistence of earnings components on abnormal excess returns. In most previous research, the differential persistence of earnings components has been estimated using a crosssectional approach. The main assumption in the crosssectional approach is that the differential persistence of accruals and operating cash flows are equal in all companies, while the differential persistence of earnings components is a firmspecific phenomenon and this approach makes it possible to estimate a variety of differential persistence among different companies. For this purpose, this study presents a trading strategy based on firmspecific estimates of differential persistence of earnings components that its effect on the abnormal excess returns has been examined in the presence or absence of loss companies. The strategy is to measure the difference between the forecasted earnings based on firmspecific differential persistence of earnings components and the forecasted earnings based on the operating earnings, which is called the unexpected earnings. Methods: To test the hypotheses, we selected the data of 143 companies listed on the Tehran Stock Exchange from 2001 to 2018 using the systematic elimination method. For analyzing information and testing hypotheses, Carhart’s (1997) fourfactor model has been used. Results: The findings of this study showed that the differential persistence of earnings components leads to abnormal excess returns that increase in the absence of loss companies. Many argue that a trading strategy based on firmspecific differential persistence of earnings components, on the one hand, and investors fixation on earnings, on the other hand, identifies useful information that is often overlooked by unaware investors. Thus, this trading strategy targets the mispricing of securities and, by identifying mispriced securities, earns abnormal excess returns. Also, according to Kraft et al. (2006), investors’ fixation on earnings does not misprice loss companies. This issue is because the investors consider the reported losses of the companies and then analyze the components of the losses and the reasons. Thus, the presence of loss companies in estimations weakens the abnormal returns of the trading strategy based on the firmspecific differential persistence of earnings components. Conclusion: This study shows that investors can achieve abnormal excess returns by considering the information content of the earnings components in the valuation of securities.